The following document renders a nice sequence diagram for me:
\documentclass[12pt,english]{scrartcl}
\usepackage{babel}
%\usepackage{pgfplots}
% Sequence diagrams:
\usepackage{tikz}
\usetikzlibrary{arrows,shadows} % for pgf-umlsd
\usepackage[underline=true,rounded corners=false]{pgf-umlsd}
\begin{document}
\begin{sequencediagram}
\newthread{a}{Client}
\newthread{b}{Server}
\mess{a}{X}{b}
\mess{a}{Y}{b}
\begin{call}{a}{$Z_a$}{b}{$Z_b$}\end{call}
\end{sequencediagram}
\end{document}

But when I uncomment the line \usepackage{pgfplots}, the vertical lines and bars vanish:

In my real document I need the pgfplots package. So how can I make the two compatible?
I'm using MiKTeX 2.9 and TeXworks 0.4.4 r1003 on Windows XP SP2; pgf-umlsd 0.5 and pgfplots 1.6.1. I will also need it to work on an FC11 Linux system that's stuck at TeXLive 2007.
Update
Although I can't find an exact match in the pgf-umlsd issues list, issue 15 seems to describe the same conflict between pgf-umlsd and pgf-umlcd, and this was fixed in pgf-umlsd 0.7.
I locally updated the package to 0.7 in my Windows environment, but the problem persisted.
pgflots) yield identical results for me using TeXLive 2012. So, most likely you are using older packages. – Peter Grill Oct 29 '12 at 20:01\listfilesthat the update took. – Lightness Races in Orbit Oct 29 '12 at 20:16pgf-umlsd.sty 2009/09/30 v0.5, andpgfplots.sty 2012/10/26 v1.7. – Peter Grill Oct 29 '12 at 21:28